Portfolio Hedging and Basis Risk

• المؤلف الرئيسي: Lim, Kian Guan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1996
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2256; https://doi.org/10.1080/096031096334006

Minimum variance hedged portfolios using futures are formed by taking the linear projection of spot price changes onto futures price movements as the hedge ratio. This unwittingly assumes that the underlying spot-futures price movements follow a cointegrated process, given that the spot and the futu...